Recursive calculation of finite time ruin probabilities under interest force

R. M R Cardoso, Howard R. Waters

Research output: Contribution to journalArticle

12 Citations (Scopus)

Abstract

In this paper, we consider a classical insurance surplus process affected by a constant interest force. We present numerical algorithms for the calculation of finite time ruin probabilities using a discrete time Markov chain to approximate the risk process. Based on this method, upper and lower bounds are also obtained. © 2003 Elsevier B.V. All rights reserved.

Original languageEnglish
Pages (from-to)659-676
Number of pages18
JournalInsurance: Mathematics and Economics
Volume33
Issue number3
DOIs
Publication statusPublished - 19 Dec 2003

Keywords

  • Interest rate
  • Numerical algorithms
  • Ruin probability

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